There are two big obstacles in connecting HDMI and component video.
First, HDMI is a digital signal, and Component video is analog. The
signals themselves are not compatible. So you would need a digital to analog conversion box (or analog to digital depending on which way you are
going)

The other problem is HDCP. Component
Video cannot support HDCP, and HDMI always supports HDCP encryption.

Because of the incompatiblities, it’s nearly impossible, (without
wiring your own ends) to find any kind of a Component to HDMI cable. We
just added a solution that will give you a work around, but let me warn
you it isn’t ideal. It’s not that clean, is expensive and has limited
support… But here goes.

To connect a component video source like a DVD player, cable box,
game console etc. to an HDMI display like a TV or Projector, you will
need the following three parts:

Now since you are upconverting in this situation, you will be
getting the best possible quality from your component source. The
conversion box will scale the image so that it comes out in High
Definition resoultions, rather than simply stretching a low-def image.
The problem is going to be the price. This setup will run around $700
depending on cable lengnts etc. which might be more than replacing many
of the components in your home theater setup.

UPDATE: Gefen has released a Component
to HDMI conversion box it not only converts a Component signal to
the Digital HDMI output, but it also has the option to add the audio
signal to the HDMI, includes all the cables. And, it will be
significantly less expensive than the current work-arounds. (about
$180)

Going the other way–connecting a HDMI source to a component display
won’t be quite as expensive, but it has more limitations. HDCP encryption
will NOT be passed through a converter, so protected content will not
display correctly, if at all. Because there are still many HD displays
that don’t support HDCP, some devices have the ability to disable HDCP,
but if and how they do that is entirely up to the manufacturer.

This is still going to be expensive (around $400) But not as much as
getting a new big screen TV or HD projector. Generally the best option
will be to try to run HDMI to HDMI/DVI or component to compontent, but
if that’s not possible… there are options.